Portfolio Performance Report - 120d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (120d)	BL (120d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	94.0%	99.0%

Cumulative Return	408.02%	320.26%	539.04%	713.34%	413.06%
CAGR﹪	6.69%	5.89%	7.67%	8.71%	6.73%

Sharpe	0.42	0.4	0.48	0.52	0.44
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	99.48%	98.54%
Smart Sharpe	0.39	0.38	0.45	0.48	0.41
Sortino	0.58	0.57	0.67	0.71	0.61
Smart Sortino	0.55	0.53	0.63	0.67	0.57
Sortino/√2	0.41	0.4	0.48	0.51	0.43
Smart Sortino/√2	0.39	0.38	0.45	0.47	0.41
Omega	1.08	1.08	1.09	1.1	1.09

Max Drawdown	-59.82%	-53.78%	-55.19%	-53.54%	-57.46%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2008-09-17	2008-11-20
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2007-11-01	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2010-09-28	2010-11-01
Longest DD Days	1453	2450	2404	2630	1403
Volatility (ann.)	20.79%	18.55%	19.53%	20.15%	19.06%
Calmar	0.11	0.11	0.14	0.16	0.12
Skew	-0.28	-0.11	-0.01	-0.5	-0.27
Kurtosis	12.33	12.25	11.16	11.56	14.23

Expected Daily	0.03%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.54%	0.48%	0.62%	0.7%	0.54%
Expected Yearly	6.45%	5.68%	7.39%	8.4%	6.49%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.05%	-1.94%
Expected Shortfall (cVaR)	-3.82%	-3.82%	-3.82%	-3.82%	-3.82%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.1	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.96	0.93
Outlier Win Ratio	3.79	4.29	4.11	4.21	4.3
Outlier Loss Ratio	3.77	4.31	3.97	3.65	4.14

MTD	2.59%	2.57%	5.17%	4.8%	2.54%
3M	7.06%	10.94%	12.06%	7.65%	6.14%
6M	9.24%	14.12%	16.79%	12.77%	7.59%
YTD	0.74%	3.83%	6.85%	7.36%	0.37%
1Y	11.09%	18.42%	29.36%	17.29%	8.74%
3Y (ann.)	3.56%	6.31%	10.76%	25.06%	1.88%
5Y (ann.)	5.78%	9.1%	14.72%	17.8%	4.13%
10Y (ann.)	3.72%	9.29%	12.72%	8.16%	3.03%
All-time (ann.)	6.69%	5.89%	7.67%	8.71%	6.73%

Best Day	14.86%	11.37%	14.52%	14.98%	13.68%
Worst Day	-12.09%	-12.93%	-10.94%	-12.18%	-11.45%
Best Month	16.17%	13.95%	12.7%	23.07%	16.17%
Worst Month	-25.09%	-14.06%	-16.52%	-18.71%	-22.92%
Best Year	56.84%	26.5%	32.31%	66.91%	58.46%
Worst Year	-44.11%	-33.84%	-36.8%	-43.56%	-42.07%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.87%	-2.82%
Avg. Drawdown Days	55	46	32	61	50
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.21	0.15
Serenity Index	0.39	0.34	0.39	0.35	0.37

Avg. Up Month	4.8%	3.61%	3.81%	5.39%	4.4%
Avg. Down Month	-5.89%	-4.48%	-4.59%	-5.22%	-5.34%
Win Days	53.4%	53.12%	54.29%	54.1%	53.43%
Win Month	55.96%	60.93%	62.58%	57.79%	59.12%
Win Quarter	62.38%	65.35%	70.3%	61.22%	62.63%
Win Year	65.38%	69.23%	76.92%	65.38%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (120d)	BL (120d)
1999	23.68	22.39	19.28	12.74	8.60
2000	-13.41	-4.22	-7.41	-18.64	-14.32
2001	-8.20	-5.12	-10.11	-1.00	-7.49
2002	-9.89	-15.11	-20.83	-16.86	-6.20
2003	41.59	23.95	26.20	52.27	46.89
2004	26.02	3.69	10.78	37.58	24.45
2005	16.82	-0.08	5.25	17.50	13.70
2006	29.10	15.58	15.21	29.74	30.29
2007	19.97	7.29	6.28	31.47	20.17
2008	-47.06	-34.13	-37.36	-51.38	-44.49
2009	50.14	20.17	26.93	53.06	50.50
2010	20.58	11.76	15.63	24.36	20.65
2011	-16.31	7.59	4.53	-34.86	-10.86
2012	22.81	7.69	15.64	7.24	21.33
2013	9.37	24.03	28.62	18.33	14.38
2014	-4.15	7.84	13.27	-10.87	-3.89
2015	-10.85	-1.07	2.41	-9.97	-6.94
2016	9.23	13.38	12.18	16.85	6.05
2017	24.15	22.61	19.88	19.62	24.14
2018	-12.80	-4.20	-3.23	-2.55	-13.02
2019	17.45	20.94	27.97	3.91	16.63
2020	11.12	13.82	22.47	5.97	7.18
2021	8.83	17.94	26.11	19.53	9.37
2022	-6.52	-7.24	-17.13	48.73	-10.27
2023	14.43	13.49	24.11	0.82	11.97
2024	0.83	3.81	6.73	7.22	0.44

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (120d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-09-28	-53.54	1063
2000-03-06	2004-01-02	-52.66	1398
2018-04-12	2021-04-23	-40.50	1108
2010-11-08	2018-01-19	-38.80	2630
2022-04-08	2022-09-09	-18.17	155
2023-01-04	2024-01-26	-17.84	388
2007-07-20	2007-09-26	-16.75	69
2022-09-13	2022-10-14	-16.09	32
2006-05-11	2006-10-03	-15.11	146
1999-07-06	1999-11-24	-14.03	142

BL (120d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-11-01	-57.46	1097
2018-01-29	2021-01-07	-38.56	1075
2000-01-04	2003-11-06	-37.30	1403
2011-05-02	2013-04-10	-26.98	710
2014-07-07	2017-07-12	-26.66	1102
2022-01-13	2024-02-23	-22.49	772
2006-05-10	2006-10-13	-15.43	157
2004-02-18	2004-09-30	-13.86	226
2007-07-13	2007-09-26	-12.72	76
2013-05-09	2013-09-13	-11.53	128